REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY

DOI10.1142/S0219024914500538zbMath1304.91244OpenAlexW2071395987MaRDI QIDQ2939925

Marina Schneider, Ekkehard W. Sachs

Publication date: 23 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500538

zbMATH Keywords

proper orthogonal decompositionpartial differential equationsimplied volatilitymodel order reductiondiscrete empirical interpolation methodlocal volatility models

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05)

Related Items (1)

Adaptive Trust-Region POD Methods in PIDE-Constrained Optimization

Cites Work

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